Variable Selection in Kernel Regression Using Measurement Error Selection Likelihoods
利用测量误差选择似然进行核回归变量选择
This paper develops a nonparametric shrinkage and selection estimator via the measurement error selection likelihood approach recently proposed by Stefanski, Wu, and White. The Measurement Error Kernel Regression Operator (MEKRO) has the same form as the Nadaraya-Watson kernel estimator, but optimizes a measurement error model selection likelihood to estimate the kernel bandwidths. Much like LASSO or COSSO solution paths, MEKRO results in solution paths depending on a tuning…